The Contagion Effects of Sovereign Downgrades: Evidence from the European Financial Crisis

The Contagion Effects of Sovereign Downgrades: Evidence from the European Financial Crisis

This research examines the effects of sovereign downgrades on European financial markets between 2005 and 2012. Vector Autoregression (VAR) techniques are used to investigate the presence of contagion effects after a sovereign downgrade across equity indices, five year Credit Default Swaps (CDS) and...

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Bibliographic Details
Main Author: Shaen Corbet
Format: Article
Language:English
Published: EconJournals 2014-03-01
Series:International Journal of Economics and Financial Issues
Subjects:
sovereign ratings
var
contagion
financial crisis
stock markets.
Online Access:https://dergipark.org.tr/tr/pub/ijefi/issue/31961/351983?publisher=http-www-cag-edu-tr-ilhan-ozturk

Internet

https://dergipark.org.tr/tr/pub/ijefi/issue/31961/351983?publisher=http-www-cag-edu-tr-ilhan-ozturk

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